Online Convex Optimization Against Adversaries with Memory and Application to Statistical Arbitrage

27 Feb 2013Oren AnavaElad HazanShie Mannor

The framework of online learning with memory naturally captures learning problems with temporal constraints, and was previously studied for the experts setting. In this work we extend the notion of learning with memory to the general Online Convex Optimization (OCO) framework, and present two algorithms that attain low regret... (read more)

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